Next Article in Journal
Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints
Next Article in Special Issue
The Financial Stress Index: Identification of Systemic Risk Conditions
Previous Article in Journal
Valuation of Index-Linked Cash Flows in a Heath–Jarrow–Morton Framework
Previous Article in Special Issue
Custom v. Standardized Risk Models
Open AccessArticle

Supervising System Stress in Multiple Markets

1
Economist, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
2
Nonprofit Research Fellow, Case Western Reserve University, 10900 Euclid Ave, Cleveland, OH 44106, USA
3
Economic Analyst, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
4
Professor of Banking, Baden-Wuerttemberg Cooperative State University, Heidenheim 89518, Germany
5
Vice President, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
*
Author to whom correspondence should be addressed.
Academic Editors: Andrea Consiglio and Stavros A. Zenios
Risks 2015, 3(3), 365-389; https://doi.org/10.3390/risks3030365
Received: 9 April 2015 / Accepted: 1 September 2015 / Published: 14 September 2015
(This article belongs to the Special Issue Financial Engineering to Address Complexity)
This paper develops an extended financial stress measure that considers the supervisory objective of identifying risks to the stability of the financial system. The measure provides a continuous and bounded signal of financial stress using daily public market data. Broad coverage of material financial system markets over time is achieved by leveraging dynamic credit weights. We consider how this measure can be used to monitor, analyze, and alert financial system stress. View Full-Text
Keywords: financial stress; supervision; financial system stability; systemic risk financial stress; supervision; financial system stability; systemic risk
Show Figures

Graphical abstract

MDPI and ACS Style

Oet, M.V.; Dooley, J.M.; Janosko, A.C.; Gramlich, D.; Ong, S.J. Supervising System Stress in Multiple Markets. Risks 2015, 3, 365-389.

Show more citation formats Show less citations formats

Article Access Map by Country/Region

1
Only visits after 24 November 2015 are recorded.
Back to TopTop